How did you exactly install Express on the router? Did you use an app or something of that kind?

If the VPN provider has WireGuard support, you may wanna use a wireguard client software to connect to it. Flash OpenWRT on the router, install and configure a wireguard interface that connects to Express, then forward packets from behind LAN to that interface so they go through the VPN tunnel. A bit tricky for beginners, but I hope you can make it.

Since OpenVPN protocol seems to become unsupported in the future, Wireguard should be the way to go. Mullvad/IVPN should also support it, and once you know how to set it up it should be usable across many services and devices.

Do you recommend installing VPN apps on separate devices instead of the router?

For flexibility I'd do this. In case I'd wanna switch upstream servers for a single device without affecting others.

They killed off openvpn support a few years ago and am glad I did. They don't care about power users, so they don't care about my money either. Good riddance

I exclusively use my router as the VPN client for a few reasons. There are multiple services on my network that use the VPN. I've got static routes configured which effectively act as a kill switch and I can use QOS to prioritize traffic. It's pretty much set it and forget it. You can use any VPN service as long at they offer a protocol your router supports. I use Proton via WireGuard and have for years.

My router is just a Protectli Vault mini PC with Alpine Linux. You can essentially pick your favorite Linux (or BSD) distro and make it a router.